PT  - JOURNAL ARTICLE
AU  - Michael J. Howell
TI  - Measuring Bond Investors’ Risk Appetite Using the Interest Rate Term Structure
AID  - 10.3905/joi.2019.28.6.115
DP  - 2019 Sep 30
TA  - The Journal of Investing
PG  - 115--127
VI  - 28
IP  - 6
4099  - https://pm-research.com/content/28/6/115.short
4100  - https://pm-research.com/content/28/6/115.full
AB  - The distribution of term premia includes additional information beyond that contained in the traditional three-parameter decomposition of the Treasury yield curve. The author finds that the position and the size of the curvature hump are both important. A yield curve hump positioned at longer maturities appears to be consistent with lengthier time horizons of investors and with more risk-seeking behavior. The author finds that this new parameter Granger drives both future US economic activity and bond returns.TOPICS: Fixed income and structured finance, fixed-income portfolio management, statistical methods